Penalisation techniques for one-dimensional reflected rough differential equations
Résumé
In this paper we solve real-valued rough differential equations (RDEs) reflected on a moving boundary. The solution is approached by a sequence of rough differential equations with an unbounded drift whose intensity increases with n (the penalisation). Hence we also provide an existence theorem for RDEs with a drift growing at most linearly. In addition, a speed of convergence of the sequence of penalised process to the reflected process is provided in the smooth case.
Domaines
Probabilités [math.PR]Origine | Fichiers produits par l'(les) auteur(s) |
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